I finally found a bit time and tried, got the answer:
No, I cannot use Map ObjectARX API with AutoCAD console EXE.
More details:
1. I have AutoCAD Map 2015 installed.
2. I wrote a simple .NET Add-in DLL, which has a command defined to count block reference with give block name, and write the count to an external file.
3. I created a simple AutoCAD script, which do (a), NETLOAD the .NET DLL and (b) call the command defined in the .NET DLL
4. run accoreconsole.exe with a drawing file anme and the script file anme as arguments. The .NET command executed correctly and the block count was written into the external file.
5. In the command method, add a couple of lines of code to call API defined in Map ObjectARX API (getting MapApplication, which is the very basic step of doing Acad Map work).
6. Run accoreconsole.exe with the same arguments.
7. In the "DOS" window, I noticed there is error message showing before the "DOS" window closed down. Examine the external file, the block count was correctly written. That means, the code worked in the console until call to Map API.
In order to debug what error occurs when console app runs into Map API call, I used Windows.Forms.MessageBox in try...catch... block to hold the console app. Indeed, the message box pops up during console execution and only continue after the message box dismissed. The message box in the catch... clause let me know that it is the first line of code that call Map .NET API raised the exception and said the operaion is not valid. So, it looks like console app can only be used to do vanilla AutoCAD stuff.
I hope someone from ADN development support could confirm this.